algotradelib::strategy::SessionWindow Struct Reference

The intraday session of a market, as the operator states it. More...

#include <algotradelib/src/strategy/event.hpp>

Public Member Functions
MarketPhase	phase (std::chrono::system_clock::time_point now, std::optional< bool > trading_day) const
	Returns the market phase at an instant.
Date	local_date (std::chrono::system_clock::time_point now) const
	Returns the market's local date at an instant.
std::chrono::system_clock::time_point	opens_at (std::chrono::system_clock::time_point now) const
	Returns the instant the session opens on the local date of an instant.

Static Public Member Functions
static SessionWindow	krx ()
	Returns the KRX regular session, 09:00-15:30 KST.

Public Attributes
std::chrono::minutes	open_ {std::chrono::hours(9)}
	The session open, in minutes from local midnight.
std::chrono::minutes	close_ {std::chrono::hours(15) + std::chrono::minutes(30)}
	The session close, in minutes from local midnight.
std::chrono::minutes	utc_offset_ {std::chrono::hours(9)}
	The market's offset from UTC.
std::string	source_ {"KRX regular session, 09:00-15:30 KST (library default)"}
	A description of where the window came from, for reports.

Detailed Description

The intraday session of a market, as the operator states it.

Times are minutes from local midnight, with a fixed UTC offset. The default is the KRX regular session, 09:00-15:30 KST.

Note

The offset is fixed: a market that observes daylight saving needs a different window each season.

Definition at line 106 of file event.hpp.

Member Function Documentation

krx()

SessionWindow algotradelib::strategy::SessionWindow::krx ( )

inlinestatic

Returns the KRX regular session, 09:00-15:30 KST.

Returns

The default window.

Definition at line 120 of file event.hpp.

Referenced by main(), and algotradelib::backtest::ReplayClock::ReplayClock().

local_date()

Date algotradelib::strategy::SessionWindow::local_date ( std::chrono::system_clock::time_point now ) const

inline

Returns the market's local date at an instant.

Ask the TradingCalendar about this date, not the machine's own: in another time zone they differ for part of each day.

Parameters

now	The instant.

Returns

The date in the market's time zone.

Definition at line 162 of file event.hpp.

Referenced by main().

opens_at()

std::chrono::system_clock::time_point algotradelib::strategy::SessionWindow::opens_at ( std::chrono::system_clock::time_point now ) const

inline

Returns the instant the session opens on the local date of an instant.

Parameters

now	Any instant on the date in question.

Returns

The open of local_date(now), whether or not that date trades.

Definition at line 175 of file event.hpp.

phase()

MarketPhase algotradelib::strategy::SessionWindow::phase ( std::chrono::system_clock::time_point now, std::optional< bool > trading_day ) const

inline

Returns the market phase at an instant.

Parameters

now	The instant.
trading_day	Whether now's local date (see local_date) is a trading day, as TradingCalendar::is_trading_day answered it.

Returns

UNKNOWN if trading_day is empty, CLOSED if it is false, and otherwise PRE_OPEN, OPEN or POST_CLOSE by local time. The open is inclusive, the close exclusive.

Definition at line 131 of file event.hpp.

Member Data Documentation

close_

std::chrono::minutes algotradelib::strategy::SessionWindow::close_ {std::chrono::hours(15) + std::chrono::minutes(30)}

The session close, in minutes from local midnight.

Definition at line 110 of file event.hpp.

Referenced by algotradelib::backtest::periods_per_year(), and phase().

open_

std::chrono::minutes algotradelib::strategy::SessionWindow::open_ {std::chrono::hours(9)}

The session open, in minutes from local midnight.

Definition at line 108 of file event.hpp.

Referenced by opens_at(), algotradelib::backtest::periods_per_year(), and phase().

source_

std::string algotradelib::strategy::SessionWindow::source_ {"KRX regular session, 09:00-15:30 KST (library default)"}

A description of where the window came from, for reports.

Definition at line 114 of file event.hpp.

utc_offset_

std::chrono::minutes algotradelib::strategy::SessionWindow::utc_offset_ {std::chrono::hours(9)}

The market's offset from UTC.

Definition at line 112 of file event.hpp.

Referenced by opens_at(), and phase().

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The documentation for this struct was generated from the following file:

• algotradelib/src/strategy/event.hpp